Let's suppose your collection is already on your hard disk.
This is what the screen will look like the first time you start Parley:

Initial screen
Press on the button.
In the file selection dialog, navigate to the folder containing the data file, and select it by clicking on it. Depending on your system the file either opens immediately, or you have to press the button.

File select dialog
Now, the file is loaded, and you move on to the Practice Overview screen: see the following section for further details.